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The forward rate unbiasedness hypothesis reexamined: evidence from a new test

โœ Scribed by Natalya Delcoure; John Barkoulas; Christopher F. Baum; Atreya Chakraborty


Book ID
117701165
Publisher
Elsevier Science
Year
2003
Tongue
English
Weight
132 KB
Volume
14
Category
Article
ISSN
1044-0283

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โœ Kleopatra Nikolaou; Lucio Sarno ๐Ÿ“‚ Article ๐Ÿ“… 2006 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 180 KB

A large empirical literature has tested the unbiasedness hypothesis in the foreign-exchange market with the use of forward exchange rates. This article amends the conventional testing framework to exploit the information in currency options, with a newly constructed data set for three major dollar e